1. Without further context, I think it is likely that she already said it.
2. The first option.
Student or Learner
"I was surprised that she should say such thing."
Does it mean that the speaker was surprised because she already said it, or, she has been saying it, or, she was going to say it?
"She said you should talk to me first."
Does it mean she advised him/her that he/she ought to talk to the speaker first, or, she says the he/she shall talk to the speaker first?
Yes, in 1, a more British usage, we are looking at a usage resembling a subjunctive. Whether or not she actually said it, the speaker is assuming she did, and saying he is surprised by the idea of it, as much as the fact of it.
In 2, this is both an American and British usage, and as Mike says, it means ought to.
They are very slight shades of meaning aren't they?
surprised that she should say.. "I can hardly believe it."
surprised that she would say.. "It's not like her."
surprised that she did say.. " I know she did but I'm surprised all the same." (But they're all in the past.)